Currency Risk Premiums: A Multi-horizon Perspective

Mikhail Chernov and Magnus Dahlquist

No 31418, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: We review the literature on multi-horizon currency risk premiums. We show how the multi-horizon implications arise from the classic present-value relationship. We further show how these implications manifest themselves in the interaction between bond and currency risk premiums. This link is strengthened by explicitly accounting for stochastic discount factors. Information about currency risk premiums at different horizons presents a wealth of new evidence and challenges for existing models.

JEL-codes: E43 E52 F31 G12 G15 (search for similar items in EconPapers)
Date: 2023-06
New Economics Papers: this item is included in nep-fmk, nep-ifn, nep-inv and nep-rmg
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Published as Mikhail Chernov & Magnus Dahlquist, 2023. "Currency Risk Premiums: A Multi-Horizon Perspective," Foundations and Trends® in Finance, vol 14(1), pages 1-60.

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Working Paper: Currency risk premiums: A multi-horizon perspective (2023)
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